From Zappa Wiki Jawaka
A mudshark or spiny dogfish is a small dogfish. The animal became part of rock 'n' roll folklore according to an urban legend that claimed that members of the group Led Zeppelin once sexually gratified a groupie by penetrating her with a mudshark. The actual story is far less spectaculair. The group's road manager, Richard Cole, and the group's drummer, John Bonham once sexually gratified a groupie by sticking the nose of a red snapper inside her vagina. A member of the group Vanilla Fudge was present as well and filmed the entire incident. For more details: http://www.snopes.com/music/artists/mudshark.asp
He referenced the story again in Nanook Rubs It: "... but destined to take the place of the mudshark in your mythology".